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Testing for Cointegration between International Stock Prices

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Author Info
Ahlgren, Niklas
Antell, Jan

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Abstract

This paper re-examines the evidence for cointegration between international stock prices. It applies Johansen's (1995) maximum likelihood (ML) cointegration method and likelihood ratio (LR) tests for cointegration to stock prices. In monthly data it finds at most one cointegrating vector and in quarterly data finds no cointegrating vectors. Using the small-sample corrections or the small-sample critical values it finds no evidence of cointegration. Johansen's LR tests for cointegration are sensitive to the lag length specification in the VAR model. In general it finds more evidence of cointegration in higher order VAR models. The paper shows that some of the previous empirical results can be explained by the small-sample bias and size distortion of Johansen's LR tests for cointegration. It finds that international stock prices are not cointegrated. Copyright 2002 by Taylor and Francis Group

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 12 (2002)
Issue (Month): 12 (December)
Pages: 851-61
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Handle: RePEc:taf:apfiec:v:12:y:2002:i:12:p:851-61

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  1. Ahlgren, Niklas & Antell, Jan, 2008. "Cobreaking of Stock Prices and Contagion," Working Papers 537, Hanken School of Economics. [Downloadable!]
  2. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
  3. Bank for International Settlements and Bank Negara Malaysia, 2008. "Regional financial integration in Asia: present and future," BIS Papers, Bank for International Settlements, number 42, November. [Downloadable!]
  4. Ahlgren, Niklas & Antell, Jan, 2006. "Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series," Working Papers 519, Hanken School of Economics.
    Other versions:
  5. Marco Corazza & A. Malliaris & Elisa Scalco, 2010. "Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications," Computational Economics, Springer, vol. 35(1), pages 1-23, January. [Downloadable!] (restricted)
  6. Bank for International Settlements, 2008. "Integration of India's stock market with global and major regional markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 202-236 Bank for International Settlements. [Downloadable!]
  7. Sanidas, Elias & Jayanthakumaran, Kankesu, 2006. "The Consequences of Trade Liberalisation on the Australian Passenger Motor Vehicle Industry," Economics Working Papers wp06-01, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
  8. Christos Floros, 2005. "Price Linkages Between the US, Japan and UK Stock Markets," Financial Markets and Portfolio Management, Springer, vol. 19(2), pages 169-178, August. [Downloadable!] (restricted)
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